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Nonlinearities in the Oil Price-Output Relationship
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011
It is customary to suggest that the asymmetry in the transmission of oil price shocks to real output is well established. Much of the empirical work cited as being in support of asymmetries, however, has not directly tested the hypothesis of an asymmetric transmission of oil price innovations....
Persistent link: https://www.econbiz.de/10008784725
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012
There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil...
Persistent link: https://www.econbiz.de/10011083435
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The Role of Oil Price Shocks in Causing U.S. Recessions
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2014
Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide the first formal analysis of this question with special attention to the...
Persistent link: https://www.econbiz.de/10011083465
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Federal Funds Rate Prediction
Sarno, Lucio; Thornton, Daniel L; Valente, Giorgio - C.E.P.R. Discussion Papers - 2004
We examine the forecasting performance of a range of time-series models of the daily US effective federal funds (FF) rate recently proposed in the literature. We find that: (i) most of the models and predictor variables considered produce satisfactory one-day-ahead forecasts of the FF rate; (ii)...
Persistent link: https://www.econbiz.de/10005124452
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The Purchasing Power Parity Debate
Taylor, Alan M.; Taylor, Mark P - C.E.P.R. Discussion Papers - 2004
Originally propounded by the 16th-century scholars of the University of Salamanca, the concept of purchasing power parity (PPP) was revived in the interwar period in the context of the debate concerning the appropriate level at which to re-establish international exchange rate parities. Broadly...
Persistent link: https://www.econbiz.de/10005662378
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Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
Leon, Hyginus; Sarno, Lucio; Valente, Giorgio - C.E.P.R. Discussion Papers - 2006
We provide empirical evidence that deviations from the uncovered interest rate parity (UIP) condition display significant nonlinearities, consistent with theories based on transactions costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may...
Persistent link: https://www.econbiz.de/10005666605
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The Nonlinear Dynamics of Output and Unemployment in the US
Altissimo, Filippo; Violante, Giovanni L - C.E.P.R. Discussion Papers - 2000
This paper studies the joint dynamics of US output and unemployment rates in a nonlinear VAR model. The nonlinearity is …
Persistent link: https://www.econbiz.de/10005791372
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The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse
Hau, Harald - C.E.P.R. Discussion Papers - 2002
on the role of transaction costs for financial price volatility. For stock prices above French francs (FF) 500, the … volatility metric, we calculate 47,213 hourly volatility measures for all CAC40 stocks in the price range from FF 400 to FF 600 … and measure the volatility impact of the transaction cost increase at FF 500. We find that the median hourly range …
Persistent link: https://www.econbiz.de/10005114161
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Factor Analysis with Large Panels of Volatility Proxies
Ghysels, Eric - C.E.P.R. Discussion Papers - 2014
We consider estimating volatility risk factors using large panels of filtered or realized volatilities. The data … structure involves three types of asymptotic expansions. There is the cross-section of volatility estimates at each point in … h of the data used to compute the volatility estimates which rely on data collected at increasing frequency, h ? 0: The …
Persistent link: https://www.econbiz.de/10011083764
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Oil Price Shocks, Monetary Policy and Stagflation
Kilian, Lutz - C.E.P.R. Discussion Papers - 2009
One of the central questions in recent macroeconomic history is to what extent monetary policy as opposed to oil price shocks contributed to the stagflation of the 1970s. Understanding what went wrong in the 1970s is the key to learning from the past. One explanation explored in Barsky and...
Persistent link: https://www.econbiz.de/10005016247